|
|
|
|
||||
|
||||
Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?Chandrasekhar KrishnamurtiUniversity of Southern Queensland Avanidhar SubrahmanyamUniversity of California, Los Angeles (UCLA) - Finance Area Tiong Yang ThongSingapore Management University February 11, 2009 EFA 2009 Bergen Meetings Paper Abstract: Several studies on the expiration of IPO lockups document a strong negative reaction even though the unlock event is devoid of any informational content. The empirical finding has remained a conundrum. In this paper, we find that changes in liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice versa. Another interesting conclusion that emerges from our research is that liquidity changes can predict future abnormal returns. Our results remain robust to the use of alternate procedures to characterize unexpected changes in liquidity.
Number of Pages in PDF File: 38 Keywords: Lockup expiration, Illiquidity JEL Classification: G14, G24, G32 working papers seriesDate posted: February 12, 2009 ; Last revised: January 10, 2010Suggested CitationContact Information
|
|
||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo5 in 0.672 seconds
